correct, you are right. when you download some games, that file maybe a single .iso file, so you just burn those. i recommend imgburn.

as for those, in which, it looks like there are a bunch of .rar files, all you have to do is double-click the first .rar file (probably .01) and then it will bring up a dialog screen. so select the .iso file and then hit extract using winrar for pc.

or, if you see a bunch of rar files, right click on the first one and select EXTRACT HERE, and win rar will make the ISO into one file in ISO or RAR format. Then when you see an ISO or RAR that is the full size then burn that with IMGburn. You can burn a RAR with IMGburn, just right click on it and you should see an option to burn with IMGburn.

I never realized how many people were so ignorant of the whole pirating scene until I started mod'ing my Wii. It floors me everytime I see someone that has no clue what rars are. It really really really blows my mind.

The reason the files are split is because it's a lot easier to "move" small files than it is 4gig files. It's also easier to store (remotely) small files than 4gig files. As well, back in the day before everyone having all the bandwidth you could want, it was pretty rough downloading a 30meg file on dial-up. So you'd split it up into multiple parts. if you lost your connection it wasn't as aggrevating.